讲座题目：Optimal Dynamic Longevity Hedge with Basis Risk

　　主讲人：Ken Seng Tan 教授

　　时间：2018年1月12日下午14：00-16:00

　　地点：第三会议室（A321）

　　讲座主要内容：From a pension plan sponsor’s perspective, we study dynamic hedging strategies for longevity risk using standardized securities in a discrete-time setting. The hedging securities are linked to a population which may differ from the underlying population of the pension plan, and thus basis risk arises. Drawing from the technique of dynamic programming, we develop a framework which allows us to obtain analytical optimal dynamic hedging strategies to achieve the minimum variance hedging error. For the first time in the literature, analytical optimal solutions are obtained for such a hedging problem. The most striking advantage of the method lies in its flexibility. While q-forwards are considered in the specific implementation in the paper, our method is readily applicable to many other securities such as longevity swaps. Furthermore, our proposed optimal strategy is applied to a variety of longevity models including Lee-Carter, Cairns-Blake-Dowd (CBD) and their variants. Extensive numerical experiments show that our hedging method significantly outperforms the standard “delta” hedging strategy which is commonly studied in the literature.

　　主讲人介绍：Ken Seng Tan, Ph.D., ASA, CERA, is Sun Life Fellow in International Actuarial Science, the Associate Director of the Waterloo Research institute in Insurance, Securities and Quantitative finance (WatRISQ), and the Chief Actuarial Advisor of Risk Management, Economical Sustainability, and Actuarial Science Development in Indonesia (READI). Formerly he held the Canada Research Chair Professor in Quantitative Risk Management (2005-2010) in the Department of Statistics and Actuarial Science, University of Waterloo, Canada. He is affiliated with the Central University of Finance and Economics, Beijing as the Cheung Kong Scholar and the Hon. Director of China Institute for Actuarial Science (CIAS). Dr. Tan was a founding council member of the Joint Risk Management section of the Society of Actuaries (SOA) and he was subsequently re-elected for the period 2004-2007. He was the elected council member of the SOA Education and Research Section 2007-2010. Currently, he is the co-editor of North American Actuarial Journal (NAAJ) and the Associate Editor of the Annals of Actuarial Science and Agricultural Finance Review. He has authored many research articles in actuarial science, insurance and finance, and he publishes in leading actuarial, finance and mathematics journals. Dr. Tan has received several awards, including the 1996-97 Redington Prize, the NAAJ Annual Prizes 2001 and 2003, and the 2012 Charles A. Hachemeister. In 2007 he was among the few actuaries to be granted the first Chartered Enterprise Risk Analyst (CERA) credential by the SOA, based on his years of leadership in the field of enterprise risk management.